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Category Archives: Risk

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TARF PSR PFE Model in Excel – Part II

TARF PSR PFE Model in Excel – Part II This is the second in the series on the calculation of Pre-settlement Risk (PSR) & Potential Future Exposure (PFE) for FX derivatives. We extend the model we used to calculate the PSR & PFE risk measures

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TARF PSR PFE Exposure calculation model

TARF PSR PFE Exposure calculation model Pre-settlement Risk (PSR) & Potential Future Exposure (PFE) are calculated to assess counterparty credit risk for derivative transactions. PSR calculates the risk of a counterparty default at a static point in time while PFEs assess the risk over the

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Anti-Money Laundering Programmes – Systems

AML governance framework, risk-based approach & elements of a reporting system In our previous post we discussed what money laundering is. We listed the Financial Action Task Force’s (FATF) 40 recommendations that are used to develop and implement national AML/CTF regulations and laws to counter

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Anti-Money Laundering Programmes – Regulations

Money Laundering and the foundation for implementing an effective Anti-Money Laundering System Money Laundering is the attempt to disguise the proceeds generated from criminal or illegal sources and activities as if they were produced by legitimate means. Unrestrained money laundering provides an incentive for criminal

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Calculating IBNR – Process Checklist

IBNR reserve, Unearned Premium Reserve (UPR) & Premium Deficiency Reserve (PDR) IBNR reserves are a part of claims reserves estimated by insurers for reporting on their financial statements. Claims reserves are estimates of claims that have occurred on or before the financial statement report date

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Portfolio Management and Optimization – Sample Exam

Portfolio Management and Optimization Assessment This is a sample portfolio management and assessment exam used for the Executive MBA version of the course. Enrolled participants Students were given three hours to solve this assessment exam.   All question are to be solved used the exam

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Index matching portfolio optimization with Solver

Index Matching Portfolio optimization Active and passive investment management styles How much value does a trader or investment manager bring to the table? In terms of alternates, an investor can simply invest in a market based index and let market performance dictate his returns. This

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